Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0642 |
| Annualized Std Dev | 0.2414 |
| Annualized Sharpe (Rf=0%) | -0.2661 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3916.0000 |
| NAs | 1.0000 |
| Minimum | -0.2062 |
| Quartile 1 | -0.0055 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0003 |
| Quartile 3 | 0.0063 |
| Maximum | 0.1693 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0006 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0002 |
| Stdev | 0.0152 |
| Skewness | -1.3146 |
| Kurtosis | 29.9390 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0116 |
| Gain Deviation | 0.0105 |
| Loss Deviation | 0.0140 |
| Downside Deviation (MAR=210%) | 0.0160 |
| Downside Deviation (Rf=0%) | 0.0116 |
| Downside Deviation (0%) | 0.0116 |
| Maximum Drawdown | 0.8137 |
| Historical VaR (95%) | -0.0219 |
| Historical ES (95%) | -0.0389 |
| Modified VaR (95%) | -0.0212 |
| Modified ES (95%) | -0.0212 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2005-09-01 | 2020-03-18 | NA | -0.8137 | 3914 | 3660 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | -0.3 | -0.2 | -0.3 | 0.6 | -0.1 | -0.3 |
| 2006 | -0.2 | 0.6 | 0.2 | -0.1 | 1 | 0.8 | 0.5 | -0.1 | 1.2 | 0.1 | 0.3 | 0.4 | 4.9 |
| 2007 | -0.1 | -1.5 | 1 | 0.1 | 0.9 | 0.7 | 0.4 | 2.2 | 0.6 | -1.8 | 1.9 | 0.7 | 5.1 |
| 2008 | 0.4 | -1.1 | 2.7 | 2 | 0.6 | -0.5 | -0.9 | -0.1 | 1.3 | 1 | -8.7 | 2.3 | -1.6 |
| 2009 | -0.4 | -1.9 | 1.6 | 0.4 | 2.5 | 0.9 | 0.6 | -0.9 | 0.3 | -3.9 | 2.3 | -0.4 | 1.1 |
| 2010 | 1 | 1.9 | 1.6 | -2.3 | -0.7 | -0.9 | -0.1 | 2.2 | 0 | 0.7 | 1.7 | -1 | 4 |
| 2011 | 2.6 | -0.6 | 2.1 | 0.4 | 0.5 | -1.2 | 2.1 | -1.7 | -2.5 | -0.8 | 1.2 | 0.5 | 2.7 |
| 2012 | 2 | 1.5 | 1.8 | 0.7 | -1.1 | -0.1 | 0.5 | 1 | 0.1 | 1.8 | -0.3 | 1.6 | 9.9 |
| 2013 | -0.1 | 0.3 | 1.1 | -0.1 | -1.4 | 0.9 | -0.2 | 0.8 | 1.7 | 0.7 | 0.7 | -0.7 | 3.6 |
| 2014 | -0.9 | -0.5 | 0.8 | 0.1 | 2.1 | -0.9 | 0 | 0.2 | -0.2 | 0.6 | -0.9 | 0.8 | 1 |
| 2015 | -0.7 | 0.5 | 0 | 0.2 | 0.9 | 2.3 | 0 | -2.9 | 1.8 | 0.4 | 0.6 | 0.7 | 3.8 |
| 2016 | 0.5 | 2.4 | 0.3 | -0.6 | 0.7 | 1.2 | 0.1 | -0.6 | -0.1 | -0.4 | -0.5 | 1 | 4 |
| 2017 | -1.5 | 0.6 | -0.1 | -0.7 | 0.4 | 1 | 0.1 | 0.5 | 0.5 | -0.8 | 0.1 | -1 | -1 |
| 2018 | -0.3 | 0 | 1.5 | 0 | -0.7 | 0.7 | 0.5 | -0.1 | 0.2 | 1.6 | -0.1 | 0.6 | 3.9 |
| 2019 | 1.3 | 0.6 | 0.8 | 0 | -1.2 | 0 | -0.5 | -0.5 | 0 | 0.8 | 0 | 0.8 | 2 |
| 2020 | -1.4 | -3.3 | -5.5 | -3.2 | 1.5 | 0.7 | -0.4 | 0.3 | 0.6 | -2 | 1.3 | 1.2 | -9.8 |
| 2021 | 1.2 | 1.8 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-08-26 20.0 SPY 121. -0.0068 -0.014 -0.0306 0.0042 0.0835 0.282 -0.198 GLD 43.6 -0.0027 0.0002
2 2005-08-29 20.0 SPY 122. 0.0077 -0.0064 -0.0166 0.0185 0.101 0.321 -0.190 GLD 43.6 -0.0009 -0.003
3 2005-08-30 20.0 SPY 121. -0.0053 -0.0097 -0.021 0.0046 0.0895 0.314 -0.198 GLD 43.0 -0.0129 -0.0171
4 2005-08-31 20.1 SPY 123. 0.0126 0.0118 -0.0146 0.0151 0.101 0.336 -0.190 GLD 43.4 0.0091 -0.0044
5 2005-09-01 20.0 SPY 122. -0.0007 0.0074 -0.0179 0.0195 0.088 0.388 -0.190 GLD 44.2 0.0189 0.0112
6 2005-09-02 20.0 SPY 122. -0.0018 0.0125 -0.0117 0.0186 0.0905 0.366 -0.194 GLD 44.2 0.0007 0.0147
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
